Tom
A constant term is not included in the model if any differencing is
specified. The xreg= parameter is used to add other explanatory variables to
the model. In your case xreg=1:length(x) adds a vector of 1's to the model.
Robert Shumway and David Stoffer's website for their "Time Series Analysis
an its Applications with R Examples" text has several very helpful documents
posted on the site (http://www.stat.pitt.edu/stoffer/tsa2/index.html)
specific to time series analysis. The R ISSUES document address your
question.
Richard
>Hi,
>I am trying to understand exactly what xreg does in arima. The
documentation for xreg says:"xreg Optionally, a vector or matrix of external
regressors, which must have >the same number of rows as x." What does this
mean with regard to the action of xreg in arima?
>Apparently somehow xreg made the following two arima fit equivalent in R:
>arima(x, order=c(1,1,1), xreg=1:length(x))
>is the same as
> arima(diff(x), order=c(1,0,1))
>While I understand the latter fit (I think), I am puzzled with regard to
the former. Does anyone know what the former is doing to arima, and why it
works as it does?
>Thanks!
--
>Tom
Richard Saba
Department of Economics
Auburn University
Auburn, AL 36849 USA
[EMAIL PROTECTED]
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